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Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices

Antonios Antypas, Phoebe Koundouri () and Nikolaos Kourogenis ()
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Antonios Antypas: Department of Banking and Financial Management, University of Piraeus

No 1305, DEOS Working Papers from Athens University of Economics and Business

Abstract: In this paper we introduce a model for the description of natural resources�� price paths, which in contrast to the existing literature, captures non-linear trends by means of a simple trigonometric function. We then use a set of model selection criteria to compare our trigonometric trend model with Slade��s (1982) quadratic trend model, as well as a more general one, that nests both of these models. We estimate the models using price series of the main fuel and metal resources prices, analyzed by the relevant literature, and ��nd that in most cases the trigonometric trend model is selected as the one better ��tting the data. Our results have implications for the long-run projection of natural resources prices and, consequently, for the relevance of the Hotelling rule.

Keywords: Oscillatory trend; quadratic trend; Hotelling rule; natural resources�prices; model selection. (search for similar items in EconPapers)
JEL-codes: E3 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-mac
Date: 2013-02-19
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